Inner Pagenavigation

GFT praised by AllAboutAlpha for embracing FRTB requirements

News 23/11/2015

GFT praised by AllAboutAlpha for embracing FRTB requirements

The online strategic information platform AllAboutAlpha, have recently highlighted GFT’s thought leadership paper on the Fundamental Review of the Trading Book (FRTB), which was entitled ‘FRTB: The dawning of a new era for market risk management’. With FRTB introducing a large set of complex requirements and with the regulation deadline becoming ever closer, the likelihood of getting sucked into the vortex of tactical solutions across firms is increasing manifold.

In the point-of-view, GFT specialists Dr Wolfgang Mantke, Alan Morley, John Barclay and Manish Neoliya argue that addressing FRTB requirements at this relatively early stage will help create strategic solutions. It is this that will drive synergies across regulatory and internal methods, and help build a flexible architecture providing the required transparency at lowest possible cost while minimising technical debt and opening paths to better risk and business management.

The AllABoutAlpha article, ‘GFT Embraces the ‘Dawn’ of FRTB Requirements’, praises the paper and states that “The goal here is robustness, not sophistication. The main objectives of the FRTB include the development of a system for calculating capital requirements for banks that will not require rocket science.”

GFT’s expertise on FRTB is also emphasised, as is the papers position that “GFT accepts the case for moving away from VaR into ES. It says that ES will improve the capture of tail risk, the black swans’ issue that is “one of the often-cited deficiencies of VaR.” Also, ES offers a reliable tool for identifying the benefits of risk diversification.”